Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term...

This article focuses on the performance of Australian hedge funds. Using a survivorship bias free sample, we investigate whether Australian hedge fund managers have the ability to outguess the market. Specifically, we test the market timing and volatility timing skills of fund managers. Our...

This article focuses on the performance of Australian hedge funds. Using a survivorship bias free sample, we investigate whether Australian hedge fund managers have the ability to outguess the market. Specifically, we test the market timing and volatility timing skills of fund managers. Our...